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Daily Charts, Bar Patterns
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Daily Charts, Bar Patterns

  #81 (permalink)
Elite Member
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Yes. A surprise side effect. I took it off the chart because I am getting too much up there and also was getting frustrated with different vwap times etc. But it is a pretty 'righteous' indicator in that it shows things that are hard to see with the price bars alone without using fancy math. The atr bands are the only exception but fairly simple: one narrow setting and one wide, both working on all charts/timeframes.

I have recently made a stand-alone PVP indicator that only shows the PVP/POC without the value histogram, and also added the PVP as referent in my Bands Indicator. I'll have to monitor it a while, but I suspect I am going to prefer this to the vwap. I can put standard deviation or other bands around the PVP price now which I think is better than a moving average on days without strong trends or markets without strong trends in general. But bands or no bands, the PVP is worth paying attention to, that's for sure and am glad I can now do so both real-time and historically.

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  #82 (permalink)
Market Wizard
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it stands to reason if daily value area is nice then rolling value area even better.

Attached Thumbnails
Daily Charts, Bar Patterns-gc-02-10-12_24_2009-233-tick-.jpg  
Attached Files
Register to download File Type: cs MPValues.cs (19.5 KB, 47 views)
Register to download File Type: cs CalculateDevelopingValueArea.cs (19.9 KB, 46 views)
Register to download File Type: xml rolling-val-area.xml (14.6 KB, 40 views)
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  #83 (permalink)
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Congratulations on your work.

It's, very very good.

Wishes for a great 2010 trading

Francesco

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  #84 (permalink)
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That looks very interesting Cory. Will check it out after posting daily entry below. Am curious to see what you mean by 'Value Area' (usually the 30-70 lines) but once I open it up on a chart am sure will have the answer!

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  #85 (permalink)
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Cory - I added them to a 5min chart and didnt see the text Buy/sell and couldnt find in parameters. is it possible to plot the Buy/sell in the chart?

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  #86 (permalink)
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Under many challenges on the home front. Busted pipes in wells recently, then a hot water heater needing to be replaced. Then yesterday propane fitting for cooking stove broke (it's almost brand new) so went to car to go to town to get replacement and thus far 100% reliable diesel won't start which could be expensive. Almost did late night 5 hour drive to pick up old Mercedes with 2 year sticker (stickers are big deals around here because of rust and buying a new car in an area where they salt the roads even in the fall is like throwing money down the drain and I don't have enough to do that otherwise I would, and cheerfully). But driving 5 hours somewhere when you don't have your own car ain't so easy etc. etc. etc.

In any case: started a little late this morning after taking delivery of new heater one day early which frees me up for potential car shenanigans later.

Simple trade in SIM. Commentary in SS. Was not distracted by all the above during this (thankfully) short trading session. Set up was clear, time was good (at beginning of day-session when there is usually at least a little volatility). Was unlucky (and hasty) with moving stop down to protect > DPT profits; stop hit, then market went down to original PT 2 ticks above earlier PVP which stopped the market to the tick.

Heat on the trade: 1 tick.
MFE before stopout: 21
MFE after stopx: 33
Original PT 31
Exit 14 meaning I got 66% of the MFE before stopx hit.

So not so great. But also not so bad either.

Am developing more confidence in going for larger targets even though this is hard to do with 1 contract approach because it is difficult to risk current open DPT in order to get more.

That said, it is not as difficult as bagging occasional bigger winners which pay for later initial stop-outs. And also : how difficult is it really to put in a break-even + stop and wait a little? Yes, you risk all the current profits meaning that with the next trade you might go under. But with a good method you will end up ahead and I know I have a basically good method now that I stopped using any wriggling indicators for filtering and returned to focusing on SR using basic observation but also favoring tick charts to suss out the SR-P prices.

BM and others here - including Brooks - are influencing me to go over to 5 mins for many reasons, but I still like tick charts better for finding out certain SR prices. They are also better for dValueArea. Why? Because dValueArea is not a live updating indicator like Gomi's and others. Once a bar has closed, it averages the volume of that bar and distributes it equally to each tick in the bar's range.

Now with tick and volume charts, the higher the tick/volume per second the narrower the bar. This means that a narrow bar on a tick chart often indicates you are at an important price but also that dValue will distribute all the volume of that bar across a smaller number of tick prices making them go up in the histogram and making the histogram more accurate.

Not only that, but it means that often you can get higher probability entry on narrow bar triggers with lower stops and greater confidence that you have picked a meaningful zone. This is especially true around previous SR levels and with BV2 climax or climax churn bars.

Speaking of volume: I turned off Cory's and other volume text on my charts recently mainly because I was focusing on the PVP and vwap issues and needed to reduce input. But soon they will come back. I think I like the divergence one quite a bit; I found the stop volume (not Cory's) too active and will remove it. I still find that there are perhaps too many of them with varying degrees of helpfulness so am not sure if simply studying the bars and SR levels is not simpler and thus better.

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  #87 (permalink)
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Cory, loaded up your indicators in workspace. Interesting. I like the previous day's Value Area being shaded. Better than just the lines and intend to use this without the lines, i.e. just the shading. Thanks.

The rolling Value Area is also interesting. To be honest, I have sort of sided with Jerry Perl on the Value Area. He calls it a 'heuristic' unnecessary addition, i.e. it's contrived. That said, I have noticed that often the previous day's vat or vab work as SR levels. The current ones not so much except towards end of session when usually am not trading. But that said: have not researched it carefully either.

Now what we really need is a rolling vwap line. Some vendors sell it, but none available now in open code.

My basic approach seems to be narrowing down to:

SR using my own simple methods of perceiving them which is mainly simple Highs and Lows, emphasising those with volume and confluence with previous SR's etc., and the SRP which is when a move gathers momentum and is thus a level that the floor traders will often bring the market back to in order to clear out stops. This makes it a good re-entry point (and also a bad level to place a breakeven stop if you entered on that same move that is now being retraced).

Then paying attention to volume shifts mainly using BV2.

Then of late the dynamic PVP which I find very valuable information in terms of SR and often not shown with my other SR methods. And along with that a volume histogram showing the distribution.

So basically this is price and volume and little else. The main focus is on simple bar patterns for entries and exits around SR levels.

My main weakness is in exits. I tend to focus too much on DOM volume for trailing stops and ignore the pattern and SR logics which are usually correct. That said, I tend to use this method for profit exits, not stop losses.

Did you write these? If so, perhaps you should mention it in the comments in the code.

Thanks again. Very interesting.

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  #88 (permalink)
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cclsys View Post
...

Did you write these? If so, perhaps you should mention it in the comments in the code.

Thanks again. Very interesting.

no, they are coded by sgbtrading on Ninja forum. I just added the shade for value area.

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  #89 (permalink)
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The more I look at them, the better / more helpful they seem these rolling value area 'bands'. Thanks again for posting and also to sgb.

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  #90 (permalink)
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cclsys View Post
The more I look at them, the better / more helpful they seem these rolling value area 'bands'. Thanks again for posting and also to sgb.

trading zone sell this setup value area + rolling value area for thousands, except their rolling value area is for each 30m
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